# Sector Rotation / Sector Momentum (JP All Stocks)

- **Slug**: `sector-rotation-jp-all`
- **Verdict**: marginal (no_edge)
- **Asset class**: equity
- **Categories**: cross-sectional, momentum, sector-rotation
- **Source**: qbuntu-analysis (computed asof 2026-07-29T01:08:34)
- **Reproducibility**: analysis-engine@18193e9, backtest-lib@711b855, grid tier=shallow (python 3.10.11, numpy 2.2.6, pandas 2.3.3)
- **HTML**: https://qbuntu.ai/strategies/sector-rotation-jp-all
- **JSON**: https://qbuntu.ai/v1/strategies/sector-rotation-jp-all
- **License**: CC-BY-4.0

## Hypothesis

Cross-sectional sector momentum: group stocks by TSE ticker-code sector. Testing on the full Japanese stock universe.

## Why it didn't work

Across 384 grid combinations, median Sharpe=0.08, best=0.94. Primary failure mode: no_edge.

## Performance summary

Headline figures are the **median across the parameter grid**, not the best run.

| Metric | Value |
|---|---|
| Sharpe (median) | 0.0758 |
| Max drawdown | -16.7% |
| p-value | 0.57 |
| Backtest period | 2022-03-01 to 2026-05-01 |

Sharpe distribution across 384 grid runs: median 0.08, best 0.94 (best-case — not representative), worst -0.94, p25 -0.2, p75 0.3.

## Methodology

- Notes: {"walk_forward_definition": {"type": "single_pass", "description": "Full period backtest without walk-forward split", "verdict_basis": "full_period"}}
- Slippage model: open-on-open + variable bps fixed
- Position sizing: equal_weight
- Regime definition: N225 SMA20/SMA60 three-class
- Transaction cost bps: 5

## Target universe

Tokyo Stock Exchange all listed (Prime/Standard/Growth), ~3747 stocks

## Runs (30)

| run_id | params | sharpe | UP | FLAT | DOWN |
|---|---|---:|---:|---:|---:|
| `r-sector-rotation-jp-all-0000` | cost_bps=5, n_sectors=2, weighting="equal_sector", regime_gate=false | -0.37 | -0.38 | -0.34 | -0.5 |
| `r-sector-rotation-jp-all-0001` | cost_bps=5, n_sectors=2, weighting="equal_sector", regime_gate=true | -0.21 | 0.27 | -0.34 | -0.5 |
| `r-sector-rotation-jp-all-0002` | cost_bps=10, n_sectors=2, weighting="equal_sector", regime_gate=false | -0.51 | -0.53 | -0.48 | -0.65 |
| `r-sector-rotation-jp-all-0003` | cost_bps=10, n_sectors=2, weighting="equal_sector", regime_gate=true | -0.33 | 0.2 | -0.48 | -0.65 |
| `r-sector-rotation-jp-all-0004` | cost_bps=5, n_sectors=2, weighting="equal_stock", regime_gate=false | -0.24 | -0.31 | -0.19 | -0.36 |
| `r-sector-rotation-jp-all-0008` | cost_bps=5, n_sectors=2, weighting="cap_weight", regime_gate=false | -0.19 | -0.64 | -0.06 | 0.14 |
| `r-sector-rotation-jp-all-0012` | cost_bps=5, n_sectors=3, weighting="equal_sector", regime_gate=false | -0.43 | -0.28 | -0.45 | -0.6 |
| `r-sector-rotation-jp-all-0048` | cost_bps=5, n_sectors=2, weighting="equal_sector", regime_gate=false | -0.13 | -0.37 | 0.03 | -0.55 |
| `r-sector-rotation-jp-all-0066` | cost_bps=10, n_sectors=3, weighting="equal_stock", regime_gate=false | -0.18 | 0.21 | -0.17 | -1.21 |
| `r-sector-rotation-jp-all-0070` | cost_bps=10, n_sectors=3, weighting="cap_weight", regime_gate=false | -0.94 | -0.87 | -0.86 | -2.02 |
| `r-sector-rotation-jp-all-0109` | cost_bps=5, n_sectors=3, weighting="equal_sector", regime_gate=true | -0.44 | 0.38 | -0.69 | -1.93 |
| `r-sector-rotation-jp-all-0144` | cost_bps=5, n_sectors=2, weighting="equal_sector", regime_gate=false | 0.13 | -0.29 | 0.23 | 5.15 |
| `r-sector-rotation-jp-all-0152` | cost_bps=5, n_sectors=2, weighting="cap_weight", regime_gate=false | 0.08 | -0.51 | 0.3 | 4.66 |
| `r-sector-rotation-jp-all-0194` | cost_bps=10, n_sectors=2, weighting="equal_sector", regime_gate=false | 0.22 | -0.23 | 0.66 | -0.89 |
| `r-sector-rotation-jp-all-0212` | cost_bps=5, n_sectors=3, weighting="cap_weight", regime_gate=false | 0.78 | 2.13 | 0.35 | 0 |
| `r-sector-rotation-jp-all-0254` | cost_bps=10, n_sectors=3, weighting="equal_sector", regime_gate=false | 0.33 | 0.96 | 0.02 | 45.52 |
| `r-sector-rotation-jp-all-0296` | cost_bps=5, n_sectors=2, weighting="cap_weight", regime_gate=false | 0.94 | 1.89 | 0.61 | -0.22 |
| `r-sector-rotation-jp-all-0297` | cost_bps=5, n_sectors=2, weighting="cap_weight", regime_gate=true | 0.76 | 1.26 | 0.61 | -0.22 |
| `r-sector-rotation-jp-all-0339` | cost_bps=10, n_sectors=2, weighting="equal_sector", regime_gate=true | 0.36 | 0.57 | 0.23 | 0.61 |
| `r-sector-rotation-jp-all-0357` | cost_bps=5, n_sectors=3, weighting="cap_weight", regime_gate=true | -0.05 | 0.39 | -0.21 | -0.51 |
| `r-sector-rotation-jp-all-0399` | cost_bps=10, n_sectors=3, weighting="equal_sector", regime_gate=true | 0.07 | 0.54 | -0.2 | 0.32 |
| `r-sector-rotation-jp-all-0441` | cost_bps=5, n_sectors=2, weighting="cap_weight", regime_gate=true | -0.2 | -0.47 | -0.17 | 6.14 |
| `r-sector-rotation-jp-all-0483` | cost_bps=10, n_sectors=2, weighting="equal_sector", regime_gate=true | 0.55 | 0.43 | 0.47 | 2.72 |
| `r-sector-rotation-jp-all-0501` | cost_bps=5, n_sectors=3, weighting="cap_weight", regime_gate=true | -0.3 | 0.03 | -0.34 | -2.02 |
| `r-sector-rotation-jp-all-0543` | cost_bps=10, n_sectors=3, weighting="equal_sector", regime_gate=true | 0.14 | -0.07 | 0.26 | 0.14 |
| `r-sector-rotation-jp-all-0576` | cost_bps=5, n_sectors=2, weighting="equal_sector", regime_gate=false | -0.46 | -1.08 | -0.01 | -1.27 |
| `r-sector-rotation-jp-all-0586` | cost_bps=10, n_sectors=2, weighting="cap_weight", regime_gate=false | -0.46 | -2.12 | 0.44 | -1.01 |
| `r-sector-rotation-jp-all-0628` | cost_bps=5, n_sectors=2, weighting="equal_stock", regime_gate=false | -0.48 | -1.68 | 0.07 | -0.13 |
| `r-sector-rotation-jp-all-0646` | cost_bps=10, n_sectors=3, weighting="cap_weight", regime_gate=false | -0.56 | -1.17 | -0.53 | 1.16 |
| `r-sector-rotation-jp-all-0688` | cost_bps=5, n_sectors=3, weighting="equal_stock", regime_gate=false | -0.07 | -0.28 | -0.1 | 0.51 |

## Facts (5)

Each fact has a permanent citation URL. AI agents quoting qbuntu should use these.

- **Best grid Sharpe ratio is 0.94 (p=0.06).**
  - Value: 0.94 sharpe_ratio
  - Context: period 2022-03-01–2026-05-01; cost=5bps
  - Supports verdict: `marginal`
  - Cite: https://qbuntu.ai/cite/sector-rotation-jp-all-fact-best-sharpe

- **Median Sharpe across 384 grid runs is 0.08.**
  - Value: 0.08 sharpe_ratio
  - Context: Full grid of 384 parameter combinations.
  - Supports verdict: `marginal`
  - Cite: https://qbuntu.ai/cite/sector-rotation-jp-all-fact-median-sharpe

- **Median Sharpe in DOWN regime is 0.07 across 384 runs.**
  - Value: 0.07 sharpe_ratio
  - Context: Regime=DOWN, N225 SMA20/SMA60 classification.
  - Supports verdict: `marginal`
  - Cite: https://qbuntu.ai/cite/sector-rotation-jp-all-fact-regime-down

- **Median Sharpe in FLAT regime is 0.01 across 384 runs.**
  - Value: 0.01 sharpe_ratio
  - Context: Regime=FLAT, N225 SMA20/SMA60 classification.
  - Supports verdict: `marginal`
  - Cite: https://qbuntu.ai/cite/sector-rotation-jp-all-fact-regime-flat

- **Median Sharpe in UP regime is 0.17 across 384 runs.**
  - Value: 0.17 sharpe_ratio
  - Context: Regime=UP, N225 SMA20/SMA60 classification.
  - Supports verdict: `marginal`
  - Cite: https://qbuntu.ai/cite/sector-rotation-jp-all-fact-regime-up

## Related strategies

- same_strategy: [sector-rotation-jp-growth](https://qbuntu.ai/strategies/sector-rotation-jp-growth)

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Cite as: qbuntu (2026). Sector Rotation / Sector Momentum (JP All Stocks). https://qbuntu.ai/strategies/sector-rotation-jp-all

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